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isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Discussion paper / Centre for Economic Policy Research"
~subject:"Option pricing theory"
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Option pricing theory
Incomplete market
134
Unvollkommener Markt
134
Theorie
79
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79
Financial market
31
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31
Optionspreistheorie
22
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International journal of theoretical and applied finance
Discussion paper / Centre for Economic Policy Research
Mathematical finance : an international journal of mathematics, statistics and financial theory
24
Applied mathematical finance
8
Asia-Pacific financial markets
6
Research paper series / Swiss Finance Institute
6
European journal of operational research : EJOR
5
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International journal of financial engineering
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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1
Role of information in pricing default-sensitive contingent claims
Jeanblanc, Monique
;
Leniec, Marta
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011403184
Saved in:
2
Buy-and hold property for fully incomplete markets when super-replicating Markovian claims
Neufeld, Ariel
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011971005
Saved in:
3
Pricing index options by static hedging under finite liquidity
Armstrong, John
;
Pennanen, Teemu
;
Rakwongwan, Udomsak
- In:
International journal of theoretical and applied finance
21
(
2018
)
6
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011926583
Saved in:
4
A note on utility indifference pricing
Gerer, Johannes
;
Dorfleitner, Gregor
- In:
International journal of theoretical and applied finance
19
(
2016
)
6
,
pp. 1-17
Persistent link: https://www.econbiz.de/10011572373
Saved in:
5
Approximate hedging of options under jump-diffusion processes
Mina, Karl Friedrich
;
Cheang, Gerald H. L.
;
Chiarella, Carl
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011403772
Saved in:
6
Pricing illiquid options with n + 1 liquid proxies using mixed dynamic-static hedging
Halperin, Igor
;
Itkin, Andrey
- In:
International journal of theoretical and applied finance
16
(
2013
)
7
,
pp. 1-17
Persistent link: https://www.econbiz.de/10010233264
Saved in:
7
Priority option : the value of being a leader
Grasselli, M. R.
;
Leclère, Vincent
;
Ludkovski, M.
- In:
International journal of theoretical and applied finance
16
(
2013
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10009725087
Saved in:
8
Utility based pricing and hedging of jump diffusion processes with a view to applications
Zahn, Jochen Wolfgang
- In:
International journal of theoretical and applied finance
15
(
2012
)
7
,
pp. 1-22
Persistent link: https://www.econbiz.de/10009685882
Saved in:
9
Robust mean-variance hedging and pricing of contingent claims in a one period model
Tevzadze, Revaz
;
Uzunashvili, T.
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-9
Persistent link: https://www.econbiz.de/10009624486
Saved in:
10
Hedging (co)variance risk with variance swaps
Fonseca, José da
;
Grasselli, Martino
;
Ielpo, Florian
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 899-943
Persistent link: https://www.econbiz.de/10009380996
Saved in:
11
Valuation of compound option when the underlying asset is non-tradable
Liu, Yu-hong
- In:
International journal of theoretical and applied finance
13
(
2010
)
3
,
pp. 441-458
Persistent link: https://www.econbiz.de/10008904358
Saved in:
12
An approximate approach to the exponential utility indifference
Arai, Takuji
- In:
International journal of theoretical and applied finance
10
(
2007
)
3
,
pp. 475-503
Persistent link: https://www.econbiz.de/10003463454
Saved in:
13
Quadratic hedging for the Bates model
Hubalek, Friedrich
;
Sgarra, Carlo
- In:
International journal of theoretical and applied finance
10
(
2007
)
5
,
pp. 873-885
Persistent link: https://www.econbiz.de/10003564682
Saved in:
14
Pricing options from the point of view of a trader
Stoikov, Sasha F.
- In:
International journal of theoretical and applied finance
9
(
2006
)
8
,
pp. 1245-1266
Persistent link: https://www.econbiz.de/10003397174
Saved in:
15
Distribution-based option pricing on lattice asset dynamics models
Yamada, Yuji
;
Primbs, James A.
- In:
International journal of theoretical and applied finance
5
(
2002
)
6
,
pp. 599-618
Persistent link: https://www.econbiz.de/10001743192
Saved in:
16
On the consistency of the deterministic local volatility function model ("implied tree")
Strobl, Karl
- In:
International journal of theoretical and applied finance
4
(
2001
)
3
,
pp. 545-565
Persistent link: https://www.econbiz.de/10001584372
Saved in:
17
Option pricing for incomplete markets via stochastic optimization : transaction costs, adaptive control and forecast
Fedotov, Sergei
;
Mikhailov, Sergei
- In:
International journal of theoretical and applied finance
4
(
2001
)
1
,
pp. 179-195
Persistent link: https://www.econbiz.de/10001554259
Saved in:
18
Incomplete markets and short-sales constraints : an equilibrium approach
Bizid, Abdelhamid
;
Jouini, Elyès
- In:
International journal of theoretical and applied finance
4
(
2001
)
2
,
pp. 211-243
Persistent link: https://www.econbiz.de/10001578685
Saved in:
19
Convergence of minimum entropy option prices for weakly converging incomplete market models
Hubalek, Friedrich
;
Hudetz, Thomas
- In:
International journal of theoretical and applied finance
3
(
2000
)
3
,
pp. 559-560
Persistent link: https://www.econbiz.de/10001524384
Saved in:
20
A general methodology to price and hedge derivatives in incomplete markets
Aurell, Erik
(
contributor
)
- In:
International journal of theoretical and applied finance
3
(
2000
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10001488345
Saved in:
21
An explicit formula for option pricing in discrete incomplete markets
Wolczyńska, Grażyna
- In:
International journal of theoretical and applied finance
1
(
1998
)
2
,
pp. 283-288
Persistent link: https://www.econbiz.de/10001240153
Saved in:
22
On minimizing risk in incomplete markets option pricing models
Hammarlid, Ola
- In:
International journal of theoretical and applied finance
1
(
1998
)
2
,
pp. 227-233
Persistent link: https://www.econbiz.de/10001240157
Saved in:
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